Return Autocorrelations around Nontrading Days
发现证券收益在非交易日（周末或假日）前后存在特殊的自相关模式：非交易日后的第二天与第一天的收益相关性异常低，甚至为负，而最后一天与第一天则呈正相关。该模式在股票和期货市场持续百年，且不受市场微观结构影响。
We document a pattern in the serial dependence of security returns around nontrading days. The correlation of returns the second day after a weekend or holiday with returns the first day after is unusually low, and in many return series is negative, implying a reversal of price movements. We also document unusually large positive return autocorrelations the last day before and the first day after weekends and holidays. The pattern has existed in equity returns for over 100 years, and also exists in several futures markets, implying that the pattern is robust to alternative market microstructures.